Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0115
Annualized Std Dev 0.0526
Annualized Sharpe (Rf=0%) 0.2195

Row

Daily Return Statistics

Close
Observations 3567.0000
NAs 1.0000
Minimum -0.0435
Quartile 1 -0.0011
Median 0.0002
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0014
Maximum 0.0472
SE Mean 0.0001
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0002
Variance 0.0000
Stdev 0.0033
Skewness -0.5557
Kurtosis 39.3870

Downside Risk

Close
Semi Deviation 0.0024
Gain Deviation 0.0025
Loss Deviation 0.0030
Downside Deviation (MAR=210%) 0.0089
Downside Deviation (Rf=0%) 0.0024
Downside Deviation (0%) 0.0024
Maximum Drawdown 0.1702
Historical VaR (95%) -0.0043
Historical ES (95%) -0.0077
Modified VaR (95%) -0.0033
Modified ES (95%) -0.0033
From Trough To Depth Length To Trough Recovery
2008-02-06 2008-10-10 2009-09-24 -0.1702 413 173 240
2020-03-05 2020-03-20 2020-06-15 -0.1623 71 12 59
2012-10-17 2018-12-04 2019-06-13 -0.0721 1673 1543 130
2021-01-04 2021-03-19 NA -0.0456 54 53 NA
2010-11-05 2010-12-15 2012-02-21 -0.0416 325 28 297

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 -0.2 -0.4 0 -0.4 -0.7 0.4 -0.5 0.1 -0.3 -0.1 0 0.3 -1.8
2008 -0.1 0.6 -0.6 -0.5 0.1 0.2 -0.4 -0.1 -0.5 0.9 1.5 -1.4 -0.4
2009 0.1 0.1 -0.2 -0.1 -0.6 -1.9 0.1 -0.3 -0.1 0.2 -0.5 -0.2 -3.3
2010 -0.6 -0.1 -0.3 0.2 -0.2 -0.5 0.3 -0.5 -0.8 -0.3 -0.8 0.2 -3.4
2011 -0.7 -0.3 0 0.1 0 -0.1 -0.1 -0.1 0 -0.4 -0.7 0.2 -2
2012 0 -0.4 0 -0.1 -0.2 0.2 -0.2 0.3 -0.3 -0.2 0.1 -0.1 -0.9
2013 -0.3 -0.2 -0.3 -0.1 0 -0.1 -0.7 0 -0.2 -0.4 -0.1 -0.1 -2.4
2014 0.1 0 -0.3 -0.1 0 -0.3 0.2 0 0.2 0 -0.3 0.1 -0.4
2015 0.3 0.2 0 -0.4 -0.4 -0.4 0.4 -0.1 -0.1 0.3 0 0.2 0
2016 -0.4 -0.4 -0.1 0.2 -0.2 0.1 -0.4 -0.2 -0.1 -0.2 -0.3 0.1 -2.1
2017 -0.3 -0.5 0.2 -0.3 -0.2 -0.1 -0.1 -0.4 0 -0.2 -0.1 0 -2
2018 -0.4 -0.2 0.2 -0.3 -0.3 0 -0.4 0 -0.5 -0.2 0 0.2 -1.9
2019 -0.5 -0.4 -0.9 -0.4 0.2 -0.2 0.4 -0.1 -0.2 -0.2 -0.1 -0.2 -2.5
2020 0.3 0.7 -1 -0.8 -0.3 -0.1 0.1 0.1 0.1 -0.3 -0.5 0 -1.7
2021 0 0 -0.1 NA NA NA NA NA NA NA NA NA -0.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-01-11  50.1 SPY    142.  0.0044   0.0035   0.0052   0.0509    0.103    0.265    0.230 GLD    60.6  0.0007  -0.0165
2 2007-01-12  50.1 SPY    143.  0.0076   0.0192   0.0099   0.0602    0.108    0.265    0.234 GLD    62.2  0.0254   0.0332
3 2007-01-16  50.1 SPY    143. -0.002    0.0125   0.0087   0.049     0.110    0.270    0.244 GLD    62.0 -0.0032   0.0246
4 2007-01-18  50.1 SPY    143. -0.0034   0.0071  -0.0041   0.0417    0.111    0.253    0.238 GLD    62.3 -0.0061   0.0276
5 2007-01-19  50.1 SPY    143.  0.002    0.0046   0.0034   0.047     0.117    0.250    0.266 GLD    63    0.0119   0.0391
6 2007-01-22  50.1 SPY    142. -0.0031  -0.006    0.003    0.0424    0.110    0.247    0.253 GLD    62.7 -0.0044   0.0088
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart